Real interest rate parity with Flexible Fourier stationary test for Central and Eastern European countries

2012 ◽  
Vol 29 (6) ◽  
pp. 2719-2723 ◽  
Author(s):  
Chi-Wei Su ◽  
Hsu-Ling Chang ◽  
Lin Liu
Keyword(s):  
Interest Rate ◽  
Real Interest Rate ◽  
European Countries ◽  
Eastern European ◽  
Interest Rate Parity ◽  
Real Interest Rate Parity ◽  
Stationary Test ◽  
Rate Parity ◽  
Eastern European Countries

Revisiting real interest rate parity in Central and Eastern European countries: The Sequential Panel Selection Method

2014 ◽  
Vol 64 (2) ◽  
pp. 181-196 ◽  
Author(s):  
Hsu-Ling Chang
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Real Interest Rate ◽  
Selection Method ◽  
Policy Implications ◽  
Eastern European ◽  
Interest Rate Parity ◽  
Real Interest Rate Parity ◽  
Rate Parity ◽  
Eastern European Countries

This study uses the Sequential Panel Selection Method (SPSM) proposed by Chortareas and Kapetanios (2009) to investigate the non-stationarity properties of real interest rates in 12 Central and Eastern European (CEE) countries. We are thereby able to test the validity of real interest rate parity (RIRP) among these countries. The SPSM can be used to decompose a panel of real interest rate series into two groups: a group of stationary series and a group of non-stationary series. We identify the stationary processes in the panel and demonstrate that RIRP holds for 10 of the 12 countries studied. Our findings show that real interest rate convergence among these 10 countries exhibits non-linear mean reversion toward RIRP equilibrium. The results have important policy implications for the CEE countries studied.

scholarly journals Resuscitating real interest rate parity: new evidence from panels

2017 ◽  
Vol 24 (14) ◽  
pp. 1176-1189
Author(s):  
Georgios Chortareas ◽  
George Kapetanios ◽  
Georgios Magkonis
Keyword(s):  
Interest Rate ◽  
Real Interest Rate ◽  
Interest Rate Parity ◽  
Real Interest Rate Parity ◽  
Rate Parity ◽  
New Evidence
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